What's the purpose of the PCIE_PWR header on my motherboard?
It looks like redundancy. Some graphics cards are REALLY power hungry, and a PCIE graphics card will get some power from the motherboard, and some from the external power connectors. This will let you provide more power if required.
That being said, it is unlikely that you will need to use this extra power connector, and if your graphics card is working OK, then I wouldn't worry about it.